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Would the Line tool be too obvious an answer? In the default toolbar, it is the icon directly over the word Tools, and looks like an arch with an arrowhead on the right end. You'll probably want to hold down the option key while drawing your lines to prevent them from attempting to connect to spots unlikely to be what you want for this particular application.

Have you gone through the video tutorial on the OmniGraffle product page? I think OmniGraffle is pretty intuitive, but I don't have the handicap of coming from another tool (Visio) which has its own style of operation to which I am accustomed...